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A selective ensemble hybrid modeling prediction method based on wavelet transformation is proposed to improve the fitting and generalization capability of the existing prediction models of the coal face gas concentration, which has a strong stochastic volatility. Mallat algorithm was employed for the multi-scale decomposition and single-scale reconstruction of the gas concentration time series. Then, it predicted every subsequence by sparsely weighted multi unstable ELM(extreme learning machine) predictor within method SERELM(sparse ensemble regressors of ELM). At last, it superimposed the predicted values of these models to obtain the predicted values of the original sequence. The proposed method takes advantage of characteristics of multi scale analysis of wavelet transformation, accuracy and fast characteristics of ELM prediction and the generalization ability of L1 regularized selective ensemble learning method. The results show that the forecast accuracy has large increase by using the proposed method. The average relative error is 0.65%, the maximum relative error is 4.16% and the probability of relative error less than 1% reaches 0.785.